Asian Journal of Management

Open Access Open Access  Restricted Access Subscription Access
Open Access Open Access Open Access  Restricted Access Restricted Access Subscription Access

Exploring the Efficiency of Indian Capital Market with Reference to S and P BSE Bankex Stocks


Affiliations
1 Assistant Professor, Bharathidasan School of Management, Bharathidasan University, Tiruchirappalli - 620 024, Tamil Nadu, India
     

   Subscribe/Renew Journal


The investments in stock markets largely depend on the flow of market information. The information flow has got its effect in the returns of the investors. In the market efficiency analysis, it is evident that the investors cannot earn abnormal returns as the market information is available to everyone. Banking sector is considered as one of the major indicator of economic development. The performance of S and P BSE Bankex over the study period has witnessed significant volatility as many major reforms were initiated by the Reserve Bank of India. Hence the present study analysed the weak form efficiency of Indian Banking sector over the period April 2007 to March 2013 using various econometric models namely Stationarity test, Runs Test and Autocorrelation analysis. The findings evidenced the share prices of selected sample banking companies were independent. The results of the study were helpful in deciding the timing of investments in banking stocks for investors.

Keywords

Autocorrelation, Banking stocks, Market Efficiency, Runs Test and Volatility.
Subscription Login to verify subscription
User
Notifications
Font Size


  • Abdul Aziz Farid Saymeh (2014). "Empirical Testing for Weak form hypothesis of Emerging Capital Markets: A comparative study of Jordan's ASE and Turkey's BORSA IST". Interdisciplinary Journal of Contemporary Research in Business. Vol. 5, No. 9, pp.61-80.

  • Abdus Salam (2013). "Testing on Weak form market Efficiency hypothesis: The evidence from Dhaka Stock Market yearn2004-2012". International Journal of Science and Research. Vol.2, Issue 12, pp.371-377.

  • Asma Mobarek and Angelo Fiorante (2014). "The Prospects of BRIC Countries: Testing Weak- form Market Efficiency". Research in International Business and Finance. Vol.30. pp.217-232.

  • D. A. Dickey and W. F. Fuller (1979). "Distribution of the Estimators for Autoregressive Time Series with a Unit Root". Journal of the American Statistical Association, Vol. 74, No. 366, pp. 427-431.

  • Eugene.F.Fama (1970). "Efficient Capital Markets: A Review of Theory and Empirical Work". Journal of Finance, Vol. 25, No.2, pp. 383-417.

  • Kapil Jain and Paryul Jain (2013). "Empirical study of the Weak form of EMH on Indian Stock Market". International Journal of Management and Social Science Research. Vol.2, No.11, pp.52-59.

  • Rakesh Gupta (2007). "Weak Form Efficiency in Indian Stock Market". International Business and Economics Research Journal. Vol.6, No.3, pp. 57-64.

  • Shikha Mahajan and Manisha Luthra (2013). "Testing Weak form Efficiency of BSE Bankex". International Journal of Commerce, Business and Management. Vol. 2, No.5, pp.270-273.

  • Tariq Zafar S.M (2012). "A systematic study to test the EMH on BSE Listed Companies before Recession". International Journal of Management and Social Sciences Research. Vol. 1, No.1, October 2012.

  • Totala N.K et al (2012). "Does BSE Random Walk randomly?" Pacific Business Review International. Vol.5, Issue 2, pp.11-22.

  • Working Papers:

  • Ankita Mishra et al (2014). "The Random-Walk Hypothesis on the Indian Stock Market". Monash University- Business and Economics Discussion paper 07/14.

  • Text Books:

  • Chris Brooks. (2008). Introductory Econometrics for Finance, (2nd Edition), Cambridge University Press, The ICMA Centre, University of Reading, London.

  • Roman Kozhan. (2010). Financial Econometrics with E-Views. Ventus Publishing Aps, Denmark.

  • Donald. E. Fisher and Donald. J. Jordan (2001). Security Analysis and Portfolio Management, Prentice-Hall of India, New Delhi.


Abstract Views: 198

PDF Views: 0




  • Exploring the Efficiency of Indian Capital Market with Reference to S and P BSE Bankex Stocks

Abstract Views: 198  |  PDF Views: 0

Authors

M. Babu
Assistant Professor, Bharathidasan School of Management, Bharathidasan University, Tiruchirappalli - 620 024, Tamil Nadu, India

Abstract


The investments in stock markets largely depend on the flow of market information. The information flow has got its effect in the returns of the investors. In the market efficiency analysis, it is evident that the investors cannot earn abnormal returns as the market information is available to everyone. Banking sector is considered as one of the major indicator of economic development. The performance of S and P BSE Bankex over the study period has witnessed significant volatility as many major reforms were initiated by the Reserve Bank of India. Hence the present study analysed the weak form efficiency of Indian Banking sector over the period April 2007 to March 2013 using various econometric models namely Stationarity test, Runs Test and Autocorrelation analysis. The findings evidenced the share prices of selected sample banking companies were independent. The results of the study were helpful in deciding the timing of investments in banking stocks for investors.

Keywords


Autocorrelation, Banking stocks, Market Efficiency, Runs Test and Volatility.

References